Polaris Group APARCH Volatility Analysis

Model Insight

This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 32% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 2.19 sits above 2, so large shocks influence volatility more than quadratically, dominating the response more than in standard GARCH.